OK, I am going to try to answer this, but I do not have Finale in front of me and I don't write set music very much.The best way to do this is to use what are called the percussion maps. This is useful for playback as well as entry. What a percussion map lets you do is play one note on your midi keyboard, have a different note (and note head) appear on the screen and if you want correct play back, it will play yet another note back. So to do this...
1.Go to the staff tool and go to the staff menu.
Select staff attributes.
In that window there should be a place to select percussion notation, somewhere at the bottom of the screen.
You should be able to bring up another box where you can choose a percussion map. You can pick one from there, create your own, or modify one of the existing ones. Click on edit so you can see how it is set up. I believe Finale is set up to do a drum set using the defaults by playing the sounds that represent the instruments that you want. You will have to play around with it.
If someone can explain this better (I know I could if I had Finale open in front of me) then please respond.
Maybe this can get you started.
Shane